Cryptocurrency and macro-financial and macro-economic factors: an empirical study on co-movement

Abstract

This study investigates the existence of long-run relationships between cryptocurrency prices (Bitcoin, Ethereum) and macro-economic and macro-financial variables, addressing a gap in prior research primarily focused on short-run responses. Using time series data on these variables over the period January 2022 to December 2024, statistical co-movement tests are applied to find significant relationships. Tests conducted with monthly data reveal significant co-movement in Bitcoin and Ethereum prices and the Consumer Sentiment Index, global gold reserves (measured in ounces), the MSCI World Index, and the Producer Price Index. Additionally, weekly tests reveal co-movement between Ethereum and gold prices in calendar year 2023. These findings provide empirical evidence that Bitcoin and Ethereum increasingly reflect certain macro-financial and macro-economic conditions rather than trading independently of traditional economic forces, while evidence supporting a stable “digital gold” role remains sparse and episodic.